Conditional tail expectations for multivariate phase-type distributions

Journal of Applied Probability

Volumn 42, Issue 3, 2005, Pages 810-825

  Cai, Jun ^a   Li, Haijun ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b WASHINGTON STATE UNIVERSITY   (United States)

Author keywords

Conditional tail expectation; Continuous time Markov chain; Convolution; Excess loss; Extreme value; Marshall Olkin distribution; Multivariate phase type distribution; Residual lifetime; Univariate phase type distribution

Indexed keywords

EID: 27944469551     PISSN: 00219002     EISSN: None     Source Type: Journal    
DOI: 10.1239/jap/1127322029     Document Type: Article

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